Interest Rate Instruments and Market Conventions Guide

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1 Interest Rate Instruments and Market Conventions Guide December 2013

2 Copyright c OpenGamma Ltd.. This document is licensed to the public under a Creative Commons Attribution Non Commercial 3.0 Unported License Attribution under the license should be to OpenGamma. This document is for informational purposes only, and is provided as is. OpenGamma declines all responsibility of any errors and any loss or damage resulting from use of the contents of this document. User assumes the full risk of using this document. For more information, please see the text of the license (http://creativecommons.org/licenses/by/3.0/legalcode). Edition 2.0 First edition: 24 May 2011 This edition: 16 December 2013

3 Contents List of Tables Preface v vi Part 1. References 1 Chapter 1. Associations 2 1. International Swaps and Derivatives Association 2 2. British Bankers' Associations 2 3. Euribor-EBF 2 4. Australian Financial Markets Association 2 5. Danish Bankers Association 2 6. Wholesale Markets Brokers Association 2 7. Japanese Bankers Association 2 Chapter 2. Exchanges 3 1. Australian Securities Exchange 3 2. BM&FBovespa - Brazil 3 3. CME Group 3 4. Eurex 3 5. IntercontinentalExchange - ICE 3 6. LCH.Clearnet 3 7. MEFF - Spain 4 8. Montréal Exchange 4 9. NASDAQ OMX NYSE Euronext Singapore Exchange - SGX Tokyo Stock Exchange South African Futures Exchange - JSE 4 Chapter 3. Day count conventions / /360 methods / E/ E/360 (ISDA) E+/360 ISDA 5 7. ACT/ ACT/365 Fixed 6 9. ACT/365 L ACT/365 A NL/ ACT/ACT ISDA ACT/ACT ICMA Business/252 7 i

4 CONTENTS ii Chapter 4. Business day conventions 8 1. Following 8 2. Preceding 8 3. Modified following 8 4. Modified following bimonthly 8 5. End of month 8 Chapter 5. Overnight indexes 9 1. Committee meetings 9 2. CHF-TOIS EUR-EONIA EUR-EURONIA GBP-SONIA JPY-TONAR-Uncollateralized Overnight Call Rate USD-Effective Federal Funds Rate AUD-RBA Interbank Overnight Cash Rate Survey / AONIA CAD-CORRA DKK-Danmarks Nationalbank Tomorrow/Next interest rate NZD-NZIONA SEK-SIOR / T/N STIBOR SGD-SONAR ZAR-SFX ZAR OND ZAR-SAONIA 11 Chapter 6. Ibor-like indexes LIBOR GBP-LIBOR EUR-LIBOR EURIBOR JPY-TIBOR AUD-BBSW CAD-CDOR DKK-CIBOR HKD-HIBOR INR-MIFOR NOK-NIBOR RMB-SHIBOR SEK-STIBOR SGD-SIBOR SGD-SOR ZAR-JIBAR 15 Part 2. Exchange traded instruments 16 Chapter 7. Overnight index linked futures Federal Funds Futures One month EONIA indexed futures One-Day Interbank Deposit Futures Contract - Brazil 18 Chapter 8. Short Term Interest Rate Futures Ibor based USD EUR GBP JPY CHF 21

5 CONTENTS iii 6. AUD CAD ZAR 21 Chapter 9. Interest Rate Futures Options: Premium 22 Chapter 10. Interest Rate Futures Options: Margin 23 Chapter 11. Bank bill futures (AUD style) 24 Chapter 12. Deliverable swap futures (present value quoted) 25 Chapter 13. Bond futures (non AUD/NZD) USD EUR-Germany GBP JPY EUR - Spain Settlement 29 Chapter 14. Options on Bond futures (non AUD/NZD): Premium USD - CBOT 30 Chapter 15. Options on Bond futures (non AUD/NZD): Margin EUR - EUREX 31 Chapter 16. Bond futures (AUD) Description Future settlement 32 Part 3. Over-The-Counter Instruments 34 Chapter 17. Forward Rate Agreement 35 Chapter 18. Interest rate swaps (Fixed for Ibor) Leg payments Vanilla swaps Composition IMM dates swap In-arrears swaps Short and long tenors Step-up and step-down Amortised, accruing and roller coaster swaps 38 Chapter 19. Interest rate swaps (Basis swap; Ibor for Ibor) 39 Chapter 20. Interest rate swaps (Cross-currency swap; Ibor for Ibor) 40 Chapter 21. Swap indexes ISDA fixing ISDA-EUR ISDA-USD ISDA-GBP ISDA-CHF ISDA-JPY 41 Chapter 22. Overnight indexed swaps (OIS) USD 43

6 CONTENTS iv 2. EUR Committee meetings 44 Chapter 23. Federal Fund swaps 45 Chapter 24. OIS indexes EONIA swap index 46 Chapter 25. Swaption Physical delivery swaptions Cash-settled swaption EUR/GBP - yield-settled swaption Cash-settled swaption USD Up-front and forward premium 48 Chapter 26. Constant Maturity Swap (CMS) 49 Chapter 27. Forex forward and swaps Standard order Forward and swaps Forward points 50 Index 52

7 List of Tables 5.1 Overnight indexes for the main currencies Overnight indexes for other currencies Ibor-like indexes for the main currencies Ibor-like indexes for other currencies Rate futures month codes Interest rate futures on Ibor details and codes: main currencies Interest rate futures on Ibor details and codes: other currencies Interest rate future options details and codes Futures on bank bills details and codes CME/CBOT deliverable swap futures in USD Main bond futures overview USD bond futures EUR bond futures GBP bond futures JPY bond futures EUR bond futures USD bond futures options FRA dates with differences between end of the accrual period and end of the underlying fixing deposit period Most frequent vanilla swap conventions in the main currencies Most frequent vanilla swap conventions in the main currencies Vanilla swap conventions for swaps with composition Swap fixing details Fixing sources pages and code Overnight indexed swap conventions in the main currencies Overnight indexed swap conventions in other currencies Swaptions settlement conventions Conventional currency strength Forward points quotation factors. 51 v

8 Preface This booklet is about finance and more precisely about interest rate derivatives. Nevertheless, it contains no models, no numerical methods and nothing new. It contains what everybody is supposed to know when they first start working in the industry: the habits, standards, conventions and all unsaid details regarding those instruments. Everybody is supposed to know about them but, to our knowledge and despair, they are not available in one unique, easily accessible document. In our experience, as Risk Managers, Quantitative Analysts, Back-Office Officers or Traders, we have all one day or another looked for a small detail about a very familiar instrument without finding it. Is Euribor using the end-of-month rule? What is the standard payment frequency for three years AUD swap? What is the last trading date of a mid-curve option on Liffe? Those questions may sound familiar. The only way to find an answer is to ask your colleagues, search on the internet or call a counterpart; at least up to now. The goal of this booklet is to make all those details available in a single document. Nowhere in this document we discuss pricing or valuation mechanisms, even for the simplest instruments. The link to valuation is that any valuation technique for any instrument presented should include all the relevant instrument features. Most of the standard books and articles smooth the roughness of real life. Day count and business day conventions are supposed to appear magically, when they are mentioned at all. We all know that nothing appears magically and that there is no such thing as a free lunch. We do not offer you any of those free lunches, but hopefully we can help you find the salt and pepper for your own lunch. The goal of this document is to present conventions and market standards for the most common financial instruments. Those market standards are relative, and they evolve. We have done our best to collect the information and check it. For the same instrument, two groups of people may have different conventions. This is the case for example with USD swaps: some use an annual money market basis on the fixed leg and others semi-annual bond basis. The conventions evolve; this is the case for example for swaptions for which the standard changed from an up-front premium to a forward premium in September The document is certainly not intended to be read from start to end like fiction. If quantitative finance is compared to a novel, this booklet would be the introduction of the main characters. It is a reference document and we expect the reader to read at most one chapter at a time, and more often one section or even one line. A relatively extensive index has been provided to help you find the right sections. This is also the way it was written, adding lines, currencies, and instruments when they were required in our developments. The document has been divided in three parts. The first one is called References. It describes the financial associations that set most of the standards and the main exchanges for interest rate derivatives. It also contains the definitions of the day count and business day conventions. It finishes with the details on the main overnight and Ibor-like indexes. The second part is called Exchange-traded instruments and describes the instruments listed on exchanges, such as interest rate futures, bond futures and their options. The third and final part is called Over-the-counter instruments and describes the most liquid instruments of the interbank market. In particular it contains different swaps (IRS, OIS, basis swaps, etc.) and different options (swaptions, caps/floors, CMS, etc.). The market being OTC, there is obviously more room for customization in the rules and conventions applied to any particular deal. We have tried to describe the most frequent ones. Obviously this document is not perfect and we plan to add, complement, or correct when necessary. Do not hesitate to suggest corrections and additions. vi

9 PREFACE vii We would like to thank readers of previous versions for providing us with feedback and conventions for more currencies. In particular, Professor Chyng Wang TEE provided details on Asian currencies, G. Kennedy suggested the addition of central bank committee meeting dates and G. Marais provided documents on South African conventions. The document is published under a Creative Commons license (CC BY 3.0) 1, so you are free to use it in any form and redistribute it. However, we do ask that you indicate that the source is the OpenGamma Interest Rate Instruments and Market Conventions Guide. The devil is in the details. 1 As this is an open license, we can not incorporate restricted information. In particular Reuters codes, which are restricted to customers with a commercial relationship with Reuters, are not provided.

10 Part 1 References

11 CHAPTER 1 Associations Many rules and standards are proposed or collected by financial associations. The main ones are described in this chapter. 1. International Swaps and Derivatives Association The International Swaps and Derivatives Association (ISDA) was founded in In particular the association publishes the ISDA Definitions. Reference: 2. British Bankers' Associations The British Bankers' Association (BBA) is the trade association for the UK banking and financial services sector. Reference: 3. Euribor-EBF Euribor-EBF is an international non-profit association founded in 1999 with the launch of the Euro. Its members are national banking associations in the Member States of the European Union which are involved in the Eurozone and the Euro-system. Reference: 4. Australian Financial Markets Association The Australian Financial Markets Association (AFMA) was formed in Reference: 5. Danish Bankers Association The Danish Bankers Association is an organisation representing the banks in Denmark. It has the overall responsibility for CIBOR indexes. Reference: 6. Wholesale Markets Brokers Association The Wholesale Markets Brokers Association (WMBA) is the associate of London brokers. Reference: 7. Japanese Bankers Association The Japanese Bankers Association is a financial organization whose members consist of banks, bank holding companies and bankers associations in Japan. Reference: 2

12 CHAPTER 2 Exchanges There are many exchanges where financial instruments are traded throughout the world. We have included the main ones where interest rate derivatives are listed. Over the years, a lot of mergers and acquisitions took place between the different exchanges. The names and organizational structures have changed and will certainly change again. 1. Australian Securities Exchange In the interest rate landscape, the main products are the AUD bank bill futures and their options and AUD bond futures. Reference: 2. BM&FBovespa - Brazil BM&FBOVESPA was created in 2008, through the integration between the São Paulo Stock Exchange (Bolsa de Valores de São Paulo) and the Brazilian Mercantile & Futures Exchange (Bolsa de Mercadorias e Futuros). Reference: 3. CME Group The CME Group is a result of mergers between the Chicago Mercantile Exchange (CME), the Chicago Board of Trade (CBOT), New York Mercantile Exchange (NYMEX) and COMEX. In the interest rate landscape, the main products are the interest rate futures (on Libor) and their options listed on CME, the federal funds futures listed on CBOT and the bond futures and their options listed on CBOT. CME is also running a swap clearing business. Reference: 4. Eurex Eurex is a derivatives exchange jointly operated by Deutsche Börse AG and SIX Swiss Exchange. It started its derivative trading in In the interest rate landscape, the main products are the interest rate futures (on EURIBOR) and their options and the EUR bond futures. Reference: 5. IntercontinentalExchange - ICE ICE is a relatively recent exchange active mainly in commodity, energy and credit. It is involved in interest rate derivatives mainly through its (pending as of November 2013) acquisition of NYSE Euronext. Reference: https://www.theice.com 6. LCH.Clearnet The LCH.Clearnet Group is a clearing house, serving major exchanges and platforms as well as a range of OTC markets. LCH.Clearnet is owned 77.5% by its clients and 22.5% by exchanges. Reference: 3

13 13. SOUTH AFRICAN FUTURES EXCHANGE - JSE 4 7. MEFF - Spain MEFF is an official secondary market regulated by Spanish laws and under the supervision of the Spanish National Securities Market Commission. Reference: 8. Montréal Exchange The Montréal Exchange (MX) is an electronic exchange dedicated to the development of the Canadian derivative markets. Reference: 9. NASDAQ OMX In the interest rate landscape, the main products are Nordic futures: CIBOR futures, STIBOR futures and Swedish bond futures. They are also known for publishing the SIOR and CIBOR rates. NASDAX is also running an exchange in London: NLX (New London exchange). Reference: Reference: 10. NYSE Euronext NYSE Euronext results from mergers/acquisitions between Euronext, New York Stock Exchange (NYSE), Liffe and Amex. The exchange was acquired by IntercontinentalExchange (ICE) in November In the interest rate landscape, the main products are the interest rate futures (on LIBOR and EURIBOR) and their options listed on Liffe. Reference: 11. Singapore Exchange - SGX In the interest rate landscape, the products are Japanese and Singaporean government bond futures, JPY (Libor and Tibor) and the Eurodollar STIR futures/options and SGD futures. SGX is also running a swap clearing business. Reference: 12. Tokyo Stock Exchange In the interest rate landscape, the main products are JPY bond futures. Reference: 13. South African Futures Exchange - JSE The Johannesburg Stock Exchanges Interest Rate Market offers bond futures and JIBAR three months STIR futures. Reference:

14 CHAPTER 3 Day count conventions 1. 1/1 The day count fraction is always 1. This is definition 4.16(a) in 2006 ISDA Definitions /360 methods The 30/360 methods group a certain number of methods that have in common to compute the accrual factor as 360(Y 2 Y 1 ) + 30(M 2 M 1 ) + (D 2 D 1 ) 360 but differs on how the Y i, M i and D i are computed /360 This is definition 4.16(f) in 2006 ISDA Definitions. The date adjustment rules are the following: If D1 is 31, then change D1 to 30. If D2 is 31 and D1 is 30 or 31, then change D2 to 30. This day count convention is also called 30/360 US, 30U/360, Bond basis, 30/360 or 360/360. The last three terms are the ones used in the 2006 ISDA Definitions. There exists also a version of the day count which depends on an EOM convention. In that case an extra rule is added: If EOM and D1 is last day of February and D2 is last day of February, then change D2 to 30 and D1 to 30. The ISDA definitions do not refer to the EOM convention E/360 This is definition 4.16(g) in 2006 ISDA Definitions. The date adjustment rules are the following: If D1 is 31, then change D1 to 30. If D2 is 31, then change D2 to 30. This day count convention is also called Eurobond basis E/360 (ISDA) This is definition 4.16(h) in 2006 ISDA Definitions. The date adjustment rules are the following: If D1 is the last day of the month, then change D1 to 30. If D2 is the last day of February but not the termination date or D2 is 31, then change D2 to 30. The date adjustment rules are the following: 6. 30E+/360 ISDA If D1 is 31, then change D1 to 30. If D2 is 31, then change D2 to 1 and M2 to M2+1. This convention is also called 30E+/360. 5

15 11. NL/ ACT/360 This is definition 4.16(e) in 2006 ISDA Definitions. The accrual factor is d 2 d where d 2 d 1 is the number of days between the two dates. This is the most used day count convention for money market instruments (maturity below one year). This day count is also called Money Market basis, Actual 360, or French. 8. ACT/365 Fixed This is definition 4.16(d) in 2006 ISDA Definitions. The accrual factor is d 2 d where d 2 d 1 is the number of days between the two dates. The number 365 is used even in a leap year. This convention is also called English Money Market basis. 9. ACT/365 L This convention described in ICMA Rule 251.1(i) is seldom used. It was originally designed for Euro- Sterling floating rate notes. It is used only to compute the accrual factor of a coupon. The computation of the factor requires three dates: the coupon start date (d 1 ), the accrual factor date (d 2 ) and the coupon end date (d 3 ). For semi-annual coupons (the type of coupons for which it was originally designed for), the accrual factor is d 2 d 1 Days in end year where ``Days in end year'' is the number of days in the year in which d 3 is (366 for leap year and 365 otherwise). The convention is extended to annual coupons by d 2 d 1 Denominator where ``Denominator'' is 366 if 29 February is between d 1 (exclusive) to d 3 (inclusive) and 365 otherwise. The convention is also called ACT/365 Leap year 10. ACT/365 A The accrual factor is d 2 d 1 Denominator where ``Denominator'' is 366 if 29 February is between d 1 (exclusive) to d 2 (inclusive) and 365 otherwise. The convention is also called ACT/365 Actual. The accrual factor is 11. NL/365 Numerator 365 where ``Numerator'' is d 2 d 1 1 if 29 February is between d 1 (exclusive) to d 2 (inclusive) and d 2 d 1 otherwise. The convention is also called ACT/365 No leap year.

16 14. BUSINESS/ ACT/ACT ISDA This is definition 4.16(b) in 2006 ISDA Definitions. The accrual factor is Days in a non-leap year Days in a leap year To compute the number of days, the period first day is included and the last day is excluded. Examples: Start date 30-Dec-2010 / End date: 2-Jan-2011: 3/365 = Start date 30-Dec-2011 / End date: 2-Jan-2012: 2/ /366 = Start date 30-Dec-2010 / End date: 2-Jan-2013: 367/ / /365 = 3/ = ACT/ACT ICMA This is definition 4.16(c) in 2006 ISDA Definitions. This convention is defined in Rule 251 of the ICMA Rule Book. The accrual factor is 1 Freq Adjustment where Freq is the number of coupons per year and Adjustment depends of the type of stub period. None: The Adjustment is 1. The second expression reduces to 1 and the coupon is 1/Freq. Short at start: The Adjustment is computed as a ratio. The numerator is the number of days in the period. The denominator is the number of days between the standardised start date, computed as the coupon end date minus the number of month corresponding to the frequency (i.e. 12/Freq), and the end date. Long at start: Two standardised start dates are computed as the coupon end date minus one time and two times the number of month corresponding to the frequency. The numerator is the number of days between the start date and the first standardised start date and the numerator is the number of days between the first and second standardised start date. The Adjustment is the ratio of the numerator by the denominator plus 1. Short at end: The Adjustment is computed as a ratio. The numerator is the number of days in the period. The denominator is the number of days between the start date and the standardised end date, computed as the coupon start date plus the number of month corresponding to the frequency (i.e. 12/Freq). Long at end: Two standardised end dates are computed as the coupon start date plus one time and two times the number of month corresponding to the frequency. The numerator is the number of days between the end date and the first standardised end date and the numerator is the number of days between the second and first standardised end date. The Adjustment is the ratio of the numerator by the denominator plus Business/252 This day count is also called BUS/252. This day count is based on the business, not calendar days. The accrual factor is Business days 252 where the numerator is the number of business days (in a given calendar) from and including the start date up to and excluding the end date. This day count is used in particular in the Brazilian market.

17 CHAPTER 4 Business day conventions A business day convention is a convention for adjustment of dates when a specified date is not a good business day. The adjustment is done with respect to a specific calendar. 1. Following The adjusted date is the following good business day. Examples: Start date 18-Aug-2011, period 1 month: end date: 19-Sep Preceding The adjusted date is the preceding good business day. This convention is often linked to loans and it is a translation of the amount that should be paid on or before a specific date. Examples: Start date 18-Aug-2011, period 1 month: end date: 16-Sep Modified following The adjusted date is the following good business day unless the day is in the next calendar month, in which case the adjusted date is the preceding good business day. This is the most used convention for interest rate derivatives. Examples: Start date 30-Jun-2011, period 1 month: end date: 29-Jul The following rule would lead to 1-Aug which is in the next calendar month with respect to 30-Jul. 4. Modified following bimonthly The adjusted date is the following good business day unless that day crosses the mid-month (15th) or end of a month, in which case the adjusted date is the preceding good business day. Examples: Start date 30-Jun-2011, period 1 month: end date: 29-Jul The following rule would lead to 1-Aug which is in the next calendar month with respect to 30-Jul. Start date 15-Sep-2011, period 1 month: end date: 14-Oct The following rule would lead to 17-Oct which crosses the mid-month. 5. End of month Where the start date of a period is on the final business day of a particular calendar month, the end date is on the final business day of the end month (not necessarily the corresponding date in the end month). Examples: Start date 28-Feb-2011, period 1 month: end date: 31-Mar Start date 29-Apr-2011, period 1 month: end date: 31-May Apr-2011 is a Saturday, so 29-Apr is the last business day of the month. Start date 28-Feb-2012, period 1 month: end date: 28-Mar is a leap year and the 28th is not the last business day of the month! 8

18 CHAPTER 5 Overnight indexes Overnight indexes are indexes related to interbank lending on a one day horizon. Most indexes are for overnight loans and some for tomorrow/next loans. The rates are computed as a weighted average of actual transactions. The most common usage of those indexes in interest rate derivatives is in overnight indexed swaps (see Chapter 22). Some overnight indexes and their main characteristics are summarised in Table 5.1 and Table 5.2. Currency Name Reference Convention Publication lag Reuters CHF TOIS TN ACT/360-1 EUR EONIA ON ACT/360 0 GBP SONIA ON ACT/365 0 JPY TONAR ON ACT/365 1 USD Fed Fund ON ACT/360 1 Publication lag is the number of days between the start date of the period and the rate publication. A lag of 0 means on the start date, a lag of 1 means on the period end date Overnight indexes for the main currencies Currency Name Reference Convention Publication lag Reuters AUD RBA ON / AONIA ON ACT/365 0 CAD CORRA ON ACT/365 1 DKK DNB TN TN ACT/360-1 CZK CZEONIA ACT/360 HKD HONIX ON ACT/365 0 HUF HUFONIA ON ACT/360 INR O/N MIBOR ON ACT/365 0 INR MITOR TN ACT/365 0 NZD NZIONA ON ACT/365 0 PLN POLONIA ON ACT/365 SEK SIOR / T/N STIBOR TN ACT/360-1 SGD SONAR ON ACT/365 0 ZAR SAFEX ON Dep Rate ON ACT/365 ZAR SAONIA ON ACT/365 Publication lag is the number of days between the start date of the period and the rate publication. A lag of 0 means on the start date, a lag of 1 means on the period end date Overnight indexes for other currencies 1. Committee meetings The overnight rates are strongly influenced by the central banks monetary policy decisions. The meeting dates of the main central banks can be found on the following sites. 9

19 8. AUD-RBA INTERBANK OVERNIGHT CASH RATE SURVEY / AONIA 10 Reference: Reference: Reference: 2. CHF-TOIS The rate used shall be the TOIS rate, the T/N interbank fixing as such rate appears on Reuters page CHFTOIS. The index is calculated by Cosmorex AG, a division of Tullet Prebon. 3. EUR-EONIA EONIA is the acronym of Euro OverNight Index Average. It is computed as a weighted average of all overnight unsecured lending transactions undertaken in the interbank market, initiated within the Euro area by the contributing banks (rounded to three decimal places). It is calculated by the European Central Bank. The rate is published in the evening (around 19:00 CET) of the period start date. The day count convention is ACT/360. Reference: 4. EUR-EURONIA It is the weighted average rate of all unsecured Euro overnight cash transactions brokered in London by WMBA member firms between midnight and 16:15 CET with all counterparts with minimum deal size. Reference: 5. GBP-SONIA SONIA is the acronym of Sterling OverNight Index Average. It is the weighted average rate of all unsecured sterling overnight cash transactions brokered in London by WMBA member firms between midnight and 16:15 CET with all counterparts in a minimum deal size of GBP 25 million (rounded to four decimal places). The rate is published in the evening (around 17:00 CET) of the period start date. The day count convention is ACT/365. Reference: benchmarks/ 6. JPY-TONAR-Uncollateralized Overnight Call Rate TONAR is the acronym of Tokyo OverNight Average Rate. It is the weighted average rate of all unsecured overnight cash transactions between financial institutions. The rate is published by the Bank of Japan (BOJ). The day count convention is ACT/365. A provisional result is published on the evening (at 17:15 JST except on the last business day of the month where it is 18:15 JST) of the period start. The final result is published in the morning (10:00 JST) of the end date. Reference: 7. USD-Effective Federal Funds Rate The daily effective federal funds rate is a volume-weighted average of rates on trades arranged by major brokers. The effective rate is calculated by the Federal Reserve Bank of New York using data provided by the brokers and is subject to revision. The rate is published in the morning (between 7:00 and 8:30) of the period end date. The day count convention is ACT/365. Reference: 8. AUD-RBA Interbank Overnight Cash Rate Survey / AONIA The rate is computed by the Reserve Bank of Australia (RBA). It is a weighted average rate at which a sample of banks transact in the domestic interbank market for overnight funds. The Interbank Overnight Cash Rate calculated from the survey is published on electronic media services (Reuters RBA30/RBA36; Bloomberg RBAO9/RBAO11) at the conclusion of each trading day. The rate is published in the evening of the period start date. The day count convention is ACT/365. Reference:

20 15. ZAR-SAONIA 11 Reference: 9. CAD-CORRA CORRA is the acronym of Canadian Overnight Repo Rate Average. It is the weighted average rate of overnight general (non-specific) collateral repo trades that occurred through designated inter-dealer brokers between 6:00 and 16:00 EDT on the specified date as reported to the Bank of Canada. The rate is published in the morning (9:00) of the end date. The rate is published by the Bank of Canada. The day count convention is ACT/365. Reference: 10. DKK-Danmarks Nationalbank Tomorrow/Next interest rate The Tomorrow/Next (T/N) money market rate interest rate is calculated and published by the Danmarks Nationalbank. The T/N interest rate is an uncollateralized day-to-day interest rate for moneymarket lending. The T/N interest rate is calculated as a weighted average of the interest rates on actual lending. Calculation of the T/N interest rate is based on daily reports from 11 banks. Each bank reports the uncollateralized day-to-day inter-bank lending and the average interest rate for these loans. The report is made with a time lag of one day, e.g. Monday's lending is reported on Tuesday. The day count convention is ACT/360. The rate used shall be the "DKKOIS" rate, the rate published by the Danish Central Bank as such rate appears on Reuters page DKNA14 or any successor page(s) thereto. Reference: 11. NZD-NZIONA The rate used is a reference rate equal to the official cash rate in respect of that day set by the Reserve Bank of New Zealand. It is published on Reuters page ``RBNZ02'' as of 10:00 a.m. Wellington time. The day count is ACT/ SEK-SIOR / T/N STIBOR STIBOR (Stockholm Interbank Offered Rate) is a reference rate that shows an average of the interest rates at which a number of banks active on the Swedish money market are willing to lend to one another without collateral at different maturities. The reference rate for SEK is the SIOR or T/N STIBOR rate. The rate is published by the OMX Exchange. SIOR is a reference rate equal to the daily fixing for Swedish Krona tomorrow next deposits as published at approximately 11:00 a.m., Stockholm time, on the day that is one Stockholm Banking Day preceding the start date of the payment period. The rate is published on Reuters screen SIDE. Reference: 13. SGD-SONAR The SONAR rate is published by the Association of Banks in Singapore. The rate appears on Reuters page ABSIRFIX01. The rate is published at 11:00 am, Singapore time, on the period start date. The day count convention is ACT/ ZAR-SFX ZAR OND The rate SFX ZAR OND rate is published by SAFEX JIBAR. SAFEX publishes the rate which is the average rate that it receives on its deposits with the banks, weighted by the size of the investments placed at each bank. The rate appears on Reuters page SFXROD. 15. ZAR-SAONIA The SAONIA rate is the weighted average rate paid on unsecured, interbank, overnight funding. 1 1 For more details on ZAR markets see also West, G. South African Financial Markets, Financial Modelling Agency, 2009.

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